See https://twitter.com/dotMorten/status/736939376282763264 - Point #2 "Do not use Lambdas, as they cause allocations"

DelegatesLambdas.cs

[Config(typeof(Config))]
public class Program
{
    // To run this code, you need the following NuGet packages:
    //  - BenchmarkDotNet - version=0.9.6
    //  - BenchmarkDotNet.Diagnostics.Windows - version=0.9.6
    static void Main(string[] args)
    {
        var summary = BenchmarkRunner.Run<Program>();
    }

    private class Config : ManualConfig
    {
        public Config()
        {
            Add(Job.Clr.WithLaunchCount(1));
            Add(new MemoryDiagnoser());
            Add(JitOptimizationsValidator.FailOnError);
        }
    }

    [Benchmark(Baseline = true)]
    public bool Normal()
    {
        return Tester.Normal("via regular static function call");
    }

    [Benchmark]
    public bool Lambda()
    {
        // The C# compiler is smart enough to cache the lambda/delegate in a static field, so only allocated once
        return Tester.Lambda(() => "via lambda");
    }

    private string data = "via lambda (that has a \"capture\")";
    [Benchmark]
    public bool LambdaWithCapture()
    {
        return Tester.Lambda(() => data);
    }

    public static class Tester
    {
        public static bool Normal(string error)
        {
            return false;
        }

        public static bool Lambda(Func<string> getData)
        {
            getData();
            return true;
        }
    }
}

BenchmarkDotNet=v0.9.7.0
OS=Microsoft Windows NT 6.1.7601 Service Pack 1
Processor=Intel(R) Core(TM) i7-4800MQ CPU 2.70GHz, ProcessorCount=8
Frequency=2630810 ticks, Resolution=380.1111 ns, Timer=TSC
HostCLR=MS.NET 4.0.30319.42000, Arch=32-bit RELEASE
JitModules=clrjit-v4.6.1076.0

Type=Program  Mode=Throughput  Runtime=Clr  
LaunchCount=1  

Method	Median	StdDev	Gen 0	Gen 1	Gen 2	Bytes Allocated/Op
Normal	0.0535 ns	0.0810 ns	-	-	-	0.00
Lambda	3.3901 ns	0.1060 ns	-	-	-	0.00
LambdaWithCapture	7.9040 ns	0.4950 ns	11,930.00	-	-	14.80